Updated: November 14, 2024
We are issuing these frequently asked questions (FAQs) to assist financial companies in understanding the scope of the “Ongoing Data Collection of Non-Centrally Cleared Bilateral Transactions in the U.S. Repurchase Agreement (repo) Market” (NCCBR Rule) published on May 6, 2024.
These FAQs provide interpretive guidance with respect to the NCCBR Rule and do not alter or amend applicable law or create any new or additional obligations for any financial company. We intend to issue additional FAQs or guidance as appropriate. As the following positions may not necessarily discuss all material information necessary to reach the conclusions stated, the FAQs are intended as general guidance only and should not be relied on as definitive in any particular case.
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Questions about who reports and the repos in scope for reporting
Common operational questions
Data fields questions
Questions about how to handle guarantees
Questions about bunched repo
Questions about forward-start repos
Questions about multiple-collateral repos
Other questions
Questions about who reports and the repos in scope for reporting
Which financial companies are potential covered reporters?
(NCCBRFAQ-0001, Updated 8/30/2024)
All entities that meet the definition of a financial company under the Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act) are potential covered reporters. However, an entity that does not meet the definition of financial company under the Dodd-Frank Act would not be a potential covered reporter, regardless of whether it files a form G-FIN.
How should a financial company value the size of a repo commitment when it computes its outstanding commitments to borrow cash for repos?
(NCCBRFAQ-0002, Updated 8/30/2024)
It is sufficient for the financial company to use the principal amount of cash borrowed (the start leg amount field) to value outstanding commitments for repos. This applies equally to floating-rate repos and open repos.
How should a financial company convert non-USD denominated repos to USD for the purposes of the computation of a financial company’s outstanding commitments?
(NCCBRFAQ-0003, Updated 8/30/2024)
Financial companies should use a spot exchange rate on the day of the commitment calculation. The covered reporter may choose the time of day the exchange rate is observed so long as the same time is used for all computations of daily outstanding commitments for a given quarter.
For the computation of a financial company’s outstanding commitments, is a forward-start repo considered outstanding on the trade date or on the settlement date?
(NCCBRFAQ-0004, Updated 8/30/2024)
A repo is considered an outstanding commitment when it becomes a financial obligation of the party. This obligation begins on the trade date, which includes the forward-starting obligation to sell the security on the settlement date and then to buy it back on the close date. A position ceases to be a financial obligation of the party when the position is closed.
For purposes of calculating reporting thresholds and reporting data, are transactions cleared at Central Counterparties other than the Fixed Income Clearing Corporation considered to be centrally cleared?
(NCCBRFAQ-0005, Updated 8/30/2024)
Transactions that are cleared through any central clearing facility are centrally cleared and, thus, should not be counted towards the threshold calculation of a potential covered reporter or included in the data reported pursuant to the NCCBR Rule. This would include any repos centrally cleared by, for example, a European central counterparty (CCP) or any U.S. CCP.
Which repos by a covered reporter are in scope to be reported?
(NCCBRFAQ-0006, Updated 11/14/2024)
As stated in the NCCBR Rule: “Pursuant to § 1610.11(c) of the Final Rule, covered reporters must submit information on all NCCBR transactions in which the covered reporter participates. The word ‘all’ should be interpreted broadly; the set of transactions to be included in a covered reporter’s disclosures is wider than that used to determine whether a financial company is a covered reporter.”
The NCCBR transactions that are in scope to be reported include, but are not necessarily restricted to:
- Outstanding repos (not just new repo transactions)
- Intraday repos
- Guarantees (whether of the cash lender or cash borrower)
- Forward-starting repos (also see NCCBRFAQ-0030)
- All transactions that occur within the larger organization (including affiliates and subsidiaries of the covered reporter) to which the covered reporter participates
- Repos conducted with non-financial companies
- Repos conducted with non-U.S. counterparties
Does a covered reporter report the repos of its affiliates?
(NCCBRFAQ-0007, Updated 9/27/2024)
Not necessarily. A covered reporter reports its own trades, including trades with its affiliates (which are called inter-affiliate trades). Inter-affiliate repos are repos in which a covered reporter participates with an affiliate as the counterparty. In contrast, the repos of affiliates are not necessarily trades in which a covered reporter participates. A covered reporter does not report the repos that its affiliates transact with other entities.
For example, a broker-dealer that is a covered reporter does not report the repos of its affiliated bank unless they are inter-affiliate repos that the covered reporter enters with its affiliated bank as a counterparty. As another example, a registered investment adviser that is a covered reporter does not report the repos of an affiliated investment adviser unless the repos are inter-affiliate repos the covered reporter entered with that investment adviser as a counterparty.
If a U.S. bank is a covered reporter, does it report repos by its foreign branches?
(NCCBRFAQ-0008, Updated 8/30/2024)
Yes, if a bank is a covered reporter, then it reports the repos of its foreign branches. As stated in the NCCBR Rule: “Some commenters sought clarification of how the rules would apply to…a foreign branch or affiliate of a U.S. financial company….The definition of ‘financial company’ includes only entities that are incorporated or organized under Federal or state law, including subsidiaries….Transactions conducted by financial companies (as defined in the NCCBR Rule) that are settled or otherwise take place outside of the U.S. as well as transactions settled in currencies other than the U.S. dollar are included both in the transactions reported to the OFR and in the volumes used to determine the Category 1 and Category 2 thresholds.”
Should a financial company include outstanding commitments to lend cash in NCCBR transactions when calculating its outstanding repo commitments to determine if it is a covered reporter?
(NCCBRFAQ-0027, Updated 9/20/2024)
No. A financial company should assess whether it qualifies as a covered reporter based on the transactions that contribute to its “outstanding commitments to borrow cash and extend guarantees in NCCBR transactions.”
Should repos that use a tri-party custodian domiciled outside of the United States be reported?
(NCCBRFAQ-0034, Updated 11/14/2024)
No. A repo using any tri-party service would qualify as an agreement using a tri-party custodian.
Does a Covered Reporter report repos done via any of FICC’s Sponsored facilities?
(NCCBRFAQ-0035, Updated 11/14/2024)
No. Repo cleared via any of FICC’s clearing services are cleared repo.
When should a potential category two reporter determine its assets or assets under management?
(NCCBRFAQ-0036, Updated 11/14/2024)
A potential category two reporter should determine its assets or assets under management at the same time that it determines its average daily outstanding commitments to borrow cash and extend guarantees over all business days during the prior calendar quarter, pursuant to the methodology contained in the preamble to the Final Rule.
For the computation of a financial company’s outstanding commitments, should the outstanding commitment be based on the expected cash obligation of the borrower as of a repo’s minimum maturity date?
(NCCBRFAQ-0037, Updated 11/14/2024)
No. A firm should calculate its total outstanding commitments to borrow or extend guarantees that are either opened on or are outstanding at the end of a given day.
Are pledges of collateral reportable transactions?
(NCCBRFAQ-0053, Updated 11/14/2024)
The transactions that are in scope to be reported are non-cleared, bilateral repo transactions.
Common operational questions
When are the first reports due?
(NCCBRFAQ-0009, Updated 8/30/2024)
Financial companies that are Category 1 covered reporters as of the effective date of the NCCBR Rule send the first report by 11 a.m. Tuesday, December 3, 2024. This report should cover all repos that were in scope to report on December 2, 2024. Financial companies that are Category 2 covered reporters as of the effective date of the NCCBR Rule send the first report by 11 a.m. Wednesday, April 2, 2025. This report should cover all repos that were in scope to report on April 1, 2025.
How can we get connectivity documentation and learn about the testing process?
(NCCBRFAQ-0010, Updated 8/30/2024)
Connectivity documentation is given as part of the onboarding process. Financial companies that meet reporting requirements of the NCCBR Rule are encouraged to begin the process by reaching out to DCU_Support@ofr.treasury.gov.
Details about testing are also available as part of the onboarding process. The OFR’s Data Collection Utility (DCU) has been available to accept test files as of the effective date of the NCCBR Rule (July 5, 2024) with both production and testing environments active. Financial companies that meet reporting requirements can begin the process by reaching out to DCU_Support@ofr.treasury.gov.
The NCCBR Rule does not obligate testing, but the DCU is open and covered reporters are encouraged to begin the onboarding process in order to establish a robust submission process during this period.
May a covered reporter delegate its reporting, for example, to a financial services company or to a trading platform?
(NCCBRFAQ-0011, Updated 8/30/2024)
Yes, reporting may be delegated. However, all of a covered reporter’s reporting must be delegated (no partial reports are accepted), and reports must be submitted by a single delegate. The NCCBR Rule discusses the risks associated with multiple files and multiple submitters and states that “delegation that might spread the daily data submission of a covered reporter across several filings or from day-to-day among various entities is unworkable from an operational perspective and could create risks of errors in reported data.” As such, a single file from a single submitter is required for each covered reporter and File Observation Date.
Please provide the OFR at least 90 days advance notice of any proposed change to the submitter of the daily file.
What happens when there are errors in the reports, and how do covered reporters submit corrections?
(NCCBRFAQ-0012, Updated 8/30/2024)
When corrections to previous reports are necessary, the filer should identify the prior file observation Date and contact the OFR to inform staff that a full amended report for that file observation will be submitted.
A single complete report is required from each covered reporter for each file observation date. Resubmissions follow the same requirement. The most recent report received will be understood by the OFR to be the covered reporter’s complete report for the specified file observation date. Covered reporters should not submit individual transactions or partial files.
Due to unforeseen events, we are unable to fulfill one or more of the submission criteria. What should we do?
(NCCBRFAQ-0013, Updated 8/30/2024)
In instances that will disrupt the established reporting process, the covered reporter should reach out to the OFR’s Data Operations staff at OFR_SFT_2_DataOps@ofr.treasury.gov as soon as possible to work out a solution. DCU connectivity and SFTP transmission issues should be directed to the OFR’s DCU Support staff at DCU_Support@ofr.treasury.gov.
If a covered reporter has an error in a daily submission, is the entire file resubmitted?
(NCCBRFAQ-0014, Updated 8/30/2024)
Yes, there are no partial resubmissions or trade-specific resubmissions.
The NCCBR rule defines a business day to help reporters decide which transactions to submit in a report. Could you provide a bit more clarity regarding these business days?
(NCCBRFAQ-0028, Updated 9/20/2024)
From the text of the NCCBR Rule, “The Final Rule defines ‘business day’ as the period beginning at 6 p.m. Eastern Time on any day that the Fedwire Funds Service is open to 6 p.m. Eastern Time on the next day that the Fedwire Funds Service is open. For example, the business day of January 24, 2024, began at 6 p.m. Eastern Time on January 23, 2024, and ended at 6 p.m. Eastern Time on January 24, 2024.” For the purposes of the Final Rule, a “day that the Fedwire Funds Service is open” refers to Federal Reserve Banks funds transfer business day as defined by the Fedwire service’s operating hours.
If a covered reporter conducts an NCCBR transaction at any point between 6 p.m. ET Friday December 6, 2024 and 6 p.m. ET Monday December 9, 2024, the reporter includes the transaction in the business day report for Monday, December 9, 2024 with a file observation date of December 9, 2024 and this report is submitted before 11 a.m. ET on Tuesday December 10, 2024. See Fedwire operating hours.
Is the Covered Reporter required to report trade amendments? If so, how?
(NCCBRFAQ-0029, Updated 9/20/2024)
The covered reporter is not required to report trade amendments as such. Amendments to an outstanding repo that change any of the fields collected under this rule should be reflected in these fields for the outstanding repo as they stand after the amendment while retaining the transaction ID in the report file for the business day during which the amendment occurred. For example, if an outstanding repo changes its rate or its securities identifier, the reporter reports the repo with its transaction ID and with the updated value of the field.
Is an NCCBR transaction reported on the business day of execution (trade date) and separately on the business day of settlement (settlement date) when these differ?
(NCCBRFAQ-0030, Updated 9/20/2024)
The rule requires a repo to be reported every day that it is an outstanding obligation of the covered reporter. This begins on the trade date and ends on, and is inclusive of, the date when it ceases to be an obligation, typically on the settlement date of the close leg.
Sometimes a repo that was intended to be cleared by a clearing platform was not accepted by the platform for clearing due to some error. Should this repo be reported as an NCCBR?
(NCCBRFAQ-0031, Updated 9/20/2024)
Yes. A covered reporter should report all outstanding non-centrally cleared bilateral repo, even if the repo was intended to be cleared.
What should a covered reporter do if the file size of the OFR-SFT-2 report is greater than the maximum file size outlined in Appendix B of the Technical Guidance?
(NCCBRFAQ-0038, Updated 11/14/2024)
The Office may revise this maximum file size threshold as the collection matures. Covered Reporters that receive rejection notifications due to file size should contact OFR’s Data Operations team for assistance.
The Technical Guidance mentions conditions under which a file will be immediately rejected if it fails the data file validation checks, whereas a file with data elements that fail one or more data element validation checks may be rejected. Could you specify the conditions under which a submission that fails a validation check will be accepted and the conditions under which such a submission will be rejected?
(NCCBRFAQ-0039, Updated 11/14/2024)
In general, submissions that fail validation check will be rejected and require a resubmission. All files that fail a file validation checks will be rejected automatically (without human intervention) whereas files that fail one or more data element validation checks will be reviewed by staff manually and a resubmission may be requested.
I am a third party who will be submitting files for one or more covered reporters. How can I gain access to the testing environment?
(NCCBRFAQ-0040, Updated 11/14/2024)
The onboarding process begins with the covered reporter reaching out to us directly. During this process, the covered reporter has the option to identify a third-party submitter who will be its delegate. Consider contacting the covered reporter for which you will submit reports and encourage them to reach out to the OFR to begin the onboarding process.
If a covered reporter is an investment adviser (IA) that negotiates a repo between two funds that it manages, but is not a party to the repo, how should this trade be reported?
(NCCBRFAQ-0041, Updated 11/14/2024)
The covered reporter should report the trade with the LEIs of the two funds that it manages in the fields for cash lender and cash borrower.
Data fields questions
What should be reported in the time portion of the datetime formatted fields of start date and end date when the time of the open leg or the time of the closed leg is unspecified?
(NCCBRFAQ-0015, Updated 8/30/2024)
Covered reporters may report zeros for the time portion of the datetime formatted field when the transaction is not an intraday transaction or does not have a specified start/end time.
Should the covered reporter report its own name or a blank for the internal identifier?
(NCCBRFAQ-0016, Updated 8/30/2024)
This field should always be reported as a non-blank value, including when the covered reporter is the direct counterparty to the transaction. Covered reporters are free to develop their own internal identifiers for self-identification. When a covered reporter elects not to develop their own identifier for self-identification then it may report “covered reporter”.
Do the fields for haircut and securities value at inception remain the same throughout the life of a repo?
(NCCBRFAQ-0017, Updated 8/30/2024)
Yes, the haircut is measured at inception and takes the same value throughout a repo’s life including through collateral substitutions. The securities value at inception is measured at inception and similarly takes the same value throughout a repo’s life including through collateral substitutions.
Should the Legal Entity Identifier (LEI) of the principal obligor be reported in the fields for cash lender LEI or cash borrower LEI, even if this LEI is different from that of the covered reporter?
(NCCBRFAQ-0018, Updated 8/30/2024)
Yes, the covered reporter should report LEIs corresponding with the legal counterparties of the repo in the fields that require an LEI.
For example, if the covered reporter is an investment adviser but is not a party to the repo, it should report the LEI of its fund that is party to the repo in the appropriate field (cash lender or cash borrower, depending on the side of the repo that the fund takes).
As another example, if the covered reporter is reporting the repo of its subsidiary, and the subsidiary has a separate LEI, it should report the LEI of the subsidiary in the appropriate field (cash lender or cash borrower, depending on the side of the repo that the subsidiary takes).
Are securities value and securities value at inception the same for an overnight repo?
(NCCBRFAQ-0019, Updated 8/30/2024)
Yes, and these values are also identical for any repo when the start date equals the date in the trade timestamp.
Are numerical values rounded or truncated?
(NCCBRFAQ-0020, Updated 8/30/2024)
They are rounded.
Are decimals allowed for the start_leg_amount, close_leg_amount, and current_cash_amount fields?
(NCCBRFAQ-0032, Updated 9/20/2024)
Yes. In fact, in the Reporting Instructions, decimals are required for monetary figures. All currency amounts on the OFR SFT-2 must be reported to two decimal places.
Is it acceptable to convert an original currency to another currency for the purposes of reporting values?
(NCCBRFAQ-0033, Updated 9/20/2024)
Covered reporters may report currency values of repo in the original currencies without any conversion. However, yes, a covered reporter may convert values so long as the appropriate currency field (start leg currency or securities value currency) indicates the currency of use.
If the terms of a repo transaction are modified more than once during a business day, which terms should the Covered Reporter report?
(NCCBRFAQ-0042, Updated 11/14/2024)
The reporter reports the latest revision of the terms agreed upon during the business day.
Is the trade timestamp the time of entry of a repo transaction into a repo booking system?
(NCCBRFAQ-0043, Updated 11/14/2024)
The trade timestamp is the time at which the trade becomes an obligation of the covered reporter. If the reporter becomes obligated when a trade is entered into a booking system, then the trade timestamp is the time of entry of the transaction into this repo booking system.
Can you give a formula for the haircut field?
(NCCBRFAQ-0044, Updated 11/14/2024)
Report the haircut in percentage points of the market value of the securities.
The Reporting Instructions ask reporters to submit the start and end date fields in the following format: YYYYMMDDT00:00:00.000Z. If a firm, for example, reports a transaction as 20240913T00:00:00.000Z, will the DCU interpret this as a transaction that occurred midnight on September 13 GMT/UTC, which would be 8 pm on September 12 ET?
(NCCBRFAQ-0045, Updated 11/14/2024)
No. All timestamps are reported in Coordinated Universal Time (UTC) and the DCU does not convert the timestamps to another time zone prior to performing validation.
What time of day should a covered reporter use when valuing a security?
(NCCBRFAQ-0046, Updated 11/14/2024)
In the Final Rule the securities value field is defined as being ”The market value of the transferred securities as of the end of the business day, inclusive of accrued interest.” Thus, all securities should be valued as of the end of the business day.
For floating-rate reset frequencies that are not expressed in days, but in terms of months or longer time periods, should the report use the exact number of days between the previous and next reset, or is it sufficient to round to conventional 30-day periods to represent a month and similarly for longer time periods?
(NCCBRFAQ-0047, Updated 11/14/2024)
Rounding to conventional time periods is appropriate in such cases. In particular, when the floating rate reset frequency is expressed in terms of months or longer time periods, the OFR encourages reporters to use the following reset schema:
- Monthly: 30
- Quarterly: 90
- Semi-annually: 180
- Annually: 360
Questions about how to handle guarantees
Is it a third party that guarantees a repo transaction?
(NCCBRFAQ-0021, Updated 8/30/2024)
Yes. Guarantees of repo transactions involve a third party issuing a guarantee on behalf of one or both parties to a repo. As stated in the NCCBR Rule: “A guaranteed repo is a repo in which the performance of one or both counterparties are guaranteed by a third-party guarantor.”
When determining covered reporter status, should a financial company include in its calculation of its “daily outstanding commitments to borrow cash and extend guarantees” both the guarantees of the obligations of the cash borrower and also the guarantees of the obligations of the cash lender?
Yes, all guarantees of repo transactions, including guarantees of a cash borrower as well as guarantees of a cash lender, are included in this calculation.
How much does a guarantee count toward a financial company’s threshold calculation?
(NCCBRFAQ-0022, Updated 8/30/2024)
The entirety of the cash amount in the guaranteed repo counts toward the daily outstanding commitments—for example, not simply a shortfall that is guaranteed, and not the value of the collateral.
The NCCBR Rule considers an example: “Since the cash amount being guaranteed is the $95, rather than the shortfall value, this is considered the exposure for the purpose of the threshold calculation.”
Do covered reporters need to report all guarantees? Do they need to report whether the guarantee is of the cash lender or of the cash borrower?
(NCCBRFAQ-0023, Updated 8/30/2024)
Covered reporters are required to report all NCCBR transactions, including those in which the borrower or the lender is guaranteed by the covered reporter.
The current rule and data elements do not distinguish between guarantees for borrowers or lenders, nor do they require separate reporting for each. The guarantee field requires only a report of whether the repo is guaranteed repo, not an indicator of which party or exposure is guaranteed.
Questions about bunched repos
Many repos are bunched, meaning an investment adviser negotiates a repo and then allocates it to one or more fund accounts. How should a covered reporter handle this case in terms of the Legal Entity Identifiers and the number of reports?
(NCCBRFAQ-0024, Updated 8/30/2024)
It depends on which legal parties are agreeing to exchange cash and securities. The NCCBR Rule defines an NCCBR on page 37108, and essential to the definition are the two parties to the repo.
In a typical bunched repo, a dealer agrees to exchange cash and securities with one or more funds as counterparties. In this case, the dealer and the funds are parties to one or more NCCBR transactions. A covered reporter would then report the bunched repo as one or more repos individually and each with the LEI of the dealer on one side and the LEI of the appropriate fund account on the other side.
If the dealer should agree to exchange the cash and securities with an investment adviser as the counterparty, then the repo would have to be reported as such. The investment adviser’s other subsequent activities involving transferring the cash or securities delivered by the dealer would not be part of the transaction being considered. In such a case, a covered reporter would report just one repo and include the LEI of the dealer on one side and the LEI of the investment adviser on the other side.
What dates and times in the trade timestamp field should a covered reporter use for a bunched repo if the investment adviser allocates the trades after the transaction date?
(NCCBRFAQ-0025, Updated 8/30/2024)
In the NCCBR Rule, the trade timestamp of the repo is the “timestamp that the trade became an obligation of the covered reporter or the covered reporter’s affiliate or subsidiary.” This timestamp will depend, as above, on which legal entities are agreeing to exchange cash and securities.
If the legal counterparties of a repo are still not known (even if certain other terms of a repo have been negotiated), then there is still no repo agreement yet and thus no obligation to exchange securities between two parties. There is nothing to report until there is an obligation, for which the legal counterparties must be known.
As above, a counterparty could agree to exchange cash and securities with the investment adviser and not with the individual funds. In this case, the investment adviser’s other subsequent activities involving transferring the cash or securities delivered by the counterparty would not be part of the transaction being considered. In such a case, a covered reporter would report the date and time the repo was entered with the investment adviser.
Questions about forward-start repos
How should a covered reporter report the rate for a forward-start repo that has a floating rate in submissions on or after the repo’s trade date but prior to the repo’s start date?
(NCCBRFAQ-0048, Updated 11/14/2024)
As the floating rate is not determined prior to the start date of a forward-start floating-rate repo, the reporter reports a NA on business days before the start date of a forward-start floating-rate repo.
When conducting a forward-start repo trade, a covered reporter does not know the value of a security prior to inception of the trade. What should be reported in the Securities value at inception field?
(NCCBRFAQ-0049, Updated 11/14/2024)
A covered reporter engaging in a forward start repo should use “NA” in the Securities value at inception field for a forward-start repo before the start date.
How should the Minimum Maturity Date be reported for a forward-start repo?
(NCCBRFAQ-0050, Updated 11/14/2024)
The Minimum Maturity Date is the earliest possible date on which the transaction could end in accordance with its contractual terms (taking optionality into account). This date is on or after the start date, as a repo cannot end before it starts.
For example, suppose an open-term repo is agreed on January 6, 2025, starts on January 7, 2025, and the File Observation Date is January 6, 2025. The earliest this repo can end in accordance with its contractual terms is the day after it starts. The Minimum Maturity Date is January 8, 2025, which is reported as 20250108.
For another example, suppose an evergreen repo with an evergreen period of 31 days is agreed on January 6, 2025, starts on January 7, 2025, and the File Observation Date is January 6, 2025. The earliest this repo can end in accordance with its contractual terms is 31 days after it starts. The Minimum Maturity Date is February 7, 2025, which is reported as 20250207.
Questions about multiple-collateral repos
A repo can be collateralized by more than one security, resulting in a multiple-collateral repo (a “multi”). How could a Covered Reporter report a multiple-collateral repo?
(NCCBRFAQ-0051, Updated 11/14/2024)
A multi may be expressed by reporting more than one record for the same repo in the same file. Each record could correspond to a unique security collateral. The records could have identical field values (including identical Transaction IDs) except for the following fields: security identifier, securities quantity, and securities value. These three fields could take values specific to each collateral.
For example, suppose that on February 10, 2025, a reporter reports a one-month term repo in which $97,000 cash is transferred and two different securities are transferred in return as collateral: one with the ISIN of USAAAAAAAAA9 and a second with the ISIN of USBBBBBBBBB1. Suppose the reporter collateralizes the repo using $49,000 of the first security and $51,000 of the second security, making the value of all the transferred securities $100,000. The reporter may submit two records, for which the relevant fields could be as follows.
Record 1
- File observation date: 20250210
- Start date: 20250210T00:00:00.000Z
- End date: 20250310T00:00:00.000Z
- Transaction ID: 1234567890ABC
- Current cash amount: 97000.00
- Securities identifier type: ISIN
- Security identifier: USAAAAAAAAA9
- Securities quantity: 49
- Securities value: 49000.00
- Securities value at inception: 100000.00
- Haircut: 3.00000
Record 2
- File observation date: 20250210
- Start date: 20250210T00:00:00.000Z
- End date: 20250310T00:00:00.000Z
- Transaction ID: 1234567890ABC
- Current cash amount: 97000.00
- Securities identifier type: ISIN
- Security identifier: USBBBBBBBBB1
- Securities quantity: 51
- Securities value: 51000.00
- Securities value at inception: 100000.00
- Haircut: 3.00000
How could reporters handle a substitution in a multiple-collateral repo?
(NCCBRFAQ-0052, Updated 11/14/2024)
During the lifetime of a repo, its counterparties may change its terms. For a single-collateral repo, the new terms are reflected in the most recent report, as described in question NCCBRFAQ-0029. The same may be true for a multi.
For example, consider the scenario from the question above (NCCBRFAQ-0051). Suppose there is a substitution on February 11, 2025 of the collateral with ISIN USBBBBBBBBB1 for a collateral with ISIN USCCCCCCCCC3. To make the example general, suppose a different quantity of ISIN USCCCCCCCCC3 is substituted, namely $53,000 of USCCCCCCCCC3 in place of the $51,000 of USBBBBBBBBB1. Otherwise, suppose the terms of the repo do not change.
Reporting the repo may entail two records for which the relevant fields could be as follows. Note that, as stated in NCCBRFAQ-0017, the fields for haircut and securities value at inception do not change throughout the life of the repo.
Record 3
- File observation date: 20250211
- Start date: 20250210T00:00:00.000Z
- End date: 20250310T00:00:00.000Z
- Transaction ID: 1234567890ABC
- Current cash amount: 97000.00
- Securities identifier type: ISIN
- Security identifier: USAAAAAAAAA9
- Securities quantity: 49
- Securities value: 49000.00
- Securities value at inception: 100000.00
- Haircut: 3.00000
Record 4
- File observation date: 20250211
- Start date: 20250210T00:00:00.000Z
- End date: 20250310T00:00:00.000Z
- Transaction ID: 1234567890ABC
- Current cash amount: 97000.00
- Securities identifier type: ISIN
- Security identifier: USCCCCCCCCC3
- Securities quantity: 53
- Securities value: 53000.00
- Securities value at inception: 100000.00
- Haircut: 3.00000
Other questions
Are any payments due to the OFR by covered reporters?
(NCCBRFAQ-0026, Updated 8/30/2024)
No, and there is no need to enroll the OFR in an invoicing system.